Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs
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The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for the one-period financial market is equivalent to the geometric no-arbitrage condition. Finally, an example states the equivalence between the geometric no-arbitrage condition and the existence of the solutions for a maximization problem of expected utility.
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2017 ◽
Vol 29
(77)
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pp. 297-311
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2018 ◽
Vol 88
(2)
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pp. 185-240
2020 ◽
Vol 130
(7)
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pp. 4444-4469
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2020 ◽
Vol 45
(4)
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pp. 1210-1236
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